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Table 4 Test of significant increases in correlation coefficients (USA as the source of contagion).

From: Analysis of financial contagion in influential African stock markets

  Correlation before crisis Correlation during crisis Correlation after crisis Adjusted correlation after crisis Z-statistics (unadjusted) Z-statistics (adjusted)
USA as the source
 USA–EGYPYT 0.8803 0.5571 0.6910 0.6221  − 3.012*** 2.201**
 USA–NIGERIA 0.5581 0.5623 0.7893 0.7313 3.901*** 0.231
 USA–SOUTHAFRICA 0.8645 0.9684 0.9891 0.9129 2.109** 1.901**
 USA–TUNISIA 0.9395  − 0.6568 0.5401 0.4901 3.830*** 2.810***
 USA–KENYA 0.5323 0.5784 0.6862 0.8351 2.520*** 1.813**
  1. The null hypothesis does not increase in correlation. The z-statistics are in parentheses. ***, **, and * denote statistical significance at the 1%, 5%, and 10% levels